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Sparse Grid Quadrature in High Dimensions with Applications in Finance and Insurance (Hardcover, 2011 ed.) Loot Price: R1,411
Discovery Miles 14 110
Repayment Terms: R132 pm x 12*
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Sparse Grid Quadrature in High Dimensions with Applications in Finance and Insurance (Hardcover, 2011 ed.): Markus Holtz

Sparse Grid Quadrature in High Dimensions with Applications in Finance and Insurance (Hardcover, 2011 ed.)

Markus Holtz

Series: Lecture Notes in Computational Science and Engineering, 77

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Loot Price R1,411 Discovery Miles 14 110 | Repayment Terms: R132 pm x 12*

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This book deals with the numerical analysis and efficient numerical treatment of high-dimensional integrals using sparse grids and other dimension-wise integration techniques with applications to finance and insurance. The book focuses on providing insights into the interplay between coordinate transformations, effective dimensions and the convergence behaviour of sparse grid methods. The techniques, derivations and algorithms are illustrated by many examples, figures and code segments. Numerical experiments with applications from finance and insurance show that the approaches presented in this book can be faster and more accurate than (quasi-) Monte Carlo methods, even for integrands with hundreds of dimensions.

General

Imprint: Springer-Verlag
Country of origin: Germany
Series: Lecture Notes in Computational Science and Engineering, 77
Release date: October 2010
First published: 2011
Authors: Markus Holtz
Dimensions: 235 x 155 x 17mm (L x W x T)
Format: Hardcover
Pages: 192
Edition: 2011 ed.
ISBN-13: 978-3-642-16003-5
Categories: Books > Business & Economics > Finance & accounting > General
Books > Science & Mathematics > Mathematics > Numerical analysis
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LSN: 3-642-16003-4
Barcode: 9783642160035

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